Instructions
Select the "PlayStation Store" option from within the "PlayStation Network" menu on the XMB.
Scroll down to the "Games" option on the store menu and select it with the "X" button. Search for a game from the "Downloadable Games" section. Once you find a game you like, select it with the "X" button and purchase it by following the on-screen instructions.
Select the "Download" option from the "Purchase Completion" screen.
Allow the game to download and install itself onto your console.
Exit the PlayStation Store by pressing the XMB button in the center of the PlayStation controller and selecting "Yes."
Scroll over to the "Games" menu on the XMB, then scroll down to the "PlayStation3," "PlayStation," or "PSP" folder. The folder you choose depends on the console that the original game was made for.